Fugit
Expected time to exercise an option
What is Fugit?
Fugit The expected time to exercise for an American option, expressed in years. Fugit represents the risk-neutral expected life of the option. A fugit close to expiration suggests early exercise is unlikely, while a fugit significantly shorter than time to expiration indicates early exercise is probable.
Complete Definition
The expected time to exercise for an American option, expressed in years. Fugit represents the risk-neutral expected life of the option. A fugit close to expiration suggests early exercise is unlikely, while a fugit significantly shorter than time to expiration indicates early exercise is probable.
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